I saw on Tv that the baker used Pepridge Farm Pastry sheets for the dough for Lady Locks. He rolled the dough as thin as possible and cut the dough into strips 1 inch wide. Bake 350 for 12 minutes.

The filling was
1 stick margarine, 1/2 cup crisco and 1cup of sugar. He blended well and added 2/3 cup heated milk and 1tsp vanilla. blend a long time. It was enough filling for 80-90 lady locks.

He used clothe pins wrapped in aluminum foil to roll cookie dough, but there are also rollers made just for these type of cookies that you can buy.